Can not install Exchange Online PowerShell MFA Update due to ClickOnce Application Security Settings

If you can not install the Exchange Online PowerShell Update which enables MFA (which can be found here: https://outlook.office.com/ecp -> Hybrid -> Second Button) due to Windows not letting you install it then edit this area of the registry:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\.NETFramework\Security\TrustManager\PromptingLevel

Set Internet to Enabled (and if that isnt enough set them all to Enabled)

Once installed set back to Disabled